Unit testing WebRequest.Create static methods with mocks or else

I want to test my WebRequest implemented class to create a proxy applicaiton.

So I create a class that nemed ProxyService:

public class ProxyServive
{
    private readonly IMyWebRequest proxyRequest;

    public ProxyServive(IMyWebRequest proxyRequest)
    {
        this.proxyRequest = proxyRequest;
    }

    public WebResponse GetResponse(string url)
    {
        return proxyRequest.GetResponse(url);
    }
}

The class that implemented IMyWebRequest interface is running WebRequest.Create() method. So I can not test this stuation.

public class MyWebRequest : IMyWebRequest
{
    public WebResponse GetResponse(string url)
    {
            WebRequest request = WebRequest.Create(url);

            using (WebResponse response = request.GetResponse())
            {
                return response;
            }
    }
}

If I send an invalid url to GetResponse() method, WebRequest.Create(url) method throws UriFormatException or WebException.

So I can not simulate this while testing. Is there any way?